Advice for an OR PhD looking to enter quant. finance?

[Bernoulli]

First, a bit of background about myself: I have PhD in OR from a reputable program (MIT/Princeton/Cornell) and have been working at a F500 for about 3 years doing a lot of data mining and nonlinear optimization. Before that, I studied Math at Cal.

A few months ago, a few friends of mine who are working in investment banking introduced me to quantitative finance. I started reading a bit about the industry and have become highly interested as I find some of the work to be similar yet more motivating than what I am doing now.

Since I do not have a formal understanding of finance, I was wondering if I should take a look at MFE programs or would self-study suffice? Though I have been out of school for a while, I am trying to reach out to my professors and alma maters' career services to see if they can be of any help. If anyone have been (or know of someone) in a similar situation, I would definitely appreciate your input.

 

[zmwang]

It seems we are in a similar situation - I also have a ph.d. in OR (from a 2nd-tier school though) and about four years' experience doing linear/nonlinear optimization and predictive modeling. I found quant finance more intellectually challenging while somewhat related to my grad study and working experience.

It is a highly competitive/saturated market already, plus uncertainties in US economy, regulatory change, etc. odds are not great for career changer. But since you've got a few friends in there, you may want to maximize your network advantage while self-studying the fundamentals for interviews. Test the waters first before putting a big bet on it.

 

[Bernoulli]

zmwang, you're definitely right. A sudden career changer is very risky during this time. I will definitely reach out to friends who are in the industry to see if I can get in touch with people who are actually working in the field.

I am also researching a bit into MFE programs as well as the CQF certification. Have you ever considered such programs? If so, do you think it is a necessary stepping stone to get into the industry?

 

[zmwang]

A stepping stone may be nice if we don't consider the cost of time of doing it - I am sitting for CFA I this Dec, and looking at part-time MFE/MFS since doing a FT program is too much opportunity cost for me. There rarely are PT MFE/MFE programs, so I'm actually looking at a remote MSOR - Methods in Finance program with Columbia. That one has 90% courses overlap with MFE at Columbia. Even so, I am still pondering over the trade-off between the potential help and the cost (time mostly). I guess I'll do it since most of the courses look interesting to me and it's really the minimum cost....

 

[Andy Nguyen]

If you guys are in the tri-state area, try to come to an info session of the NYC-based programs that offer PT program such as Baruch, NYU, CMU. Then ask to sit in one of their class. A lot of what you think, imagine from reading the online material aren't what you discover in person when you actually sit among the enrolling students and try to absorb the strange material for 3 straight hours.

Imagine yourself doing that every week for 2+ years. If it still sounds like your cup of team, the process to the next step. Until then, you are just window shopping and paying without seeing.

CQF also has open house in NYC now and then. Come and ask Pau Wilmott questions about your situation and see what he got to advise.

 

[zmwang]

Thanks for the tips, Andy.
I came across that thoughts, the 10+ highly intensive hours daily for 2.5 yrs.. and then I was thinking if I cannot handle this, can I really work in IB, where, to my knowledge, it's often 60-80 hours per week work schedule?

 

[Andy Nguyen]

Everyone got their own breaking point. I don't know at what point it's still tolerable for you. I did my tour with MFE study and IB work and I can tell you that at several points, I had out of body sensation where everything was a blur. Your physical and mental breaking point either convince you to quit or tell you it's nonexistent.

If you worry about 60-80 hours/week, you should safely assume it's more. If it's too easy, it's not worth doing. This line of work is not for everyone and a lot of people around here know, the people chasing after the money are those most unhappy with their job.

 

[zmwang]

That is really true, Andy... maybe life is just too easy for folks like us so we still have the energy or bandwidth to dream about the rosy side of that line of work... So, even just for a back office developer position, it can be constantly 80+ hrs a week??

 

[TraderJoe]

I thought PhD was the worst possible experience in a person's life. Hopefully, there are not any more experiences which are worse than that.

 

[Andy Nguyen]

So, even just for a back office developer position, it can be constantly 80+ hrs a week??

A friend who worked in operation side of the bank told me today he worked 6:30AM to 5-6PM the first few years. Is this the kind of work you can thrive in?